StrippedOptionletAdapter2 Class Reference

#include <qle/termstructures/strippedoptionletadapter2.hpp>

Inheritance diagram for StrippedOptionletAdapter2:

Collaboration diagram for StrippedOptionletAdapter2:

Public Member Functions
	StrippedOptionletAdapter2 (const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &, const bool flatExtrapolation=false)
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
LazyObject interface
void	update () override
void	performCalculations () const override
QuantLib::ext::shared_ptr< QuantLib::OptionletStripper >	optionletStripper () const
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override

OptionletVolatilityStructure interface
const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase >	optionletStripper_
QuantLib::Size	nInterpolations_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Interpolation > >	strikeInterpolations_
const bool	flatExtrapolation_
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Volatility	volatilityImpl (QuantLib::Time length, QuantLib::Rate strike) const override

Detailed Description

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Definition at line 39 of file strippedoptionletadapter2.hpp.

Constructor & Destructor Documentation

StrippedOptionletAdapter2()

StrippedOptionletAdapter2	(	const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &	,
		const bool	flatExtrapolation = false
	)

Definition at line 36 of file strippedoptionletadapter2.cpp.

    : OptionletVolatilityStructure(s->settlementDays(), s->calendar(), s->businessDayConvention(), s->dayCounter()),
      optionletStripper_(s), nInterpolations_(s->optionletMaturities()), strikeInterpolations_(nInterpolations_),
      flatExtrapolation_(flatExtrapolation) {
    registerWith(optionletStripper_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 135 of file strippedoptionletadapter2.cpp.

{ return optionletStripper_->optionletFixingDates().back(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 127 of file strippedoptionletadapter2.cpp.

                                                {
    return optionletStripper_->optionletStrikes(0).front(); // FIX
}

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 131 of file strippedoptionletadapter2.cpp.

                                                {
    return optionletStripper_->optionletStrikes(0).back(); // FIX
}

update()

void update ( )

override

Definition at line 76 of file strippedoptionletadapter2.hpp.

                                              {
    optionletStripper_->update(); // just in case
    TermStructure::update();
    LazyObject::update();
}

performCalculations()

void performCalculations ( ) const

override

Definition at line 82 of file strippedoptionletadapter2.cpp.

                                                          {
 
    // const std::vector<Rate>& atmForward = optionletStripper_->atmOptionletRate();
    // const std::vector<Time>& optionletTimes = optionletStripper_->optionletTimes();
 
    for (Size i = 0; i < nInterpolations_; ++i) {
        const std::vector<Rate>& optionletStrikes = optionletStripper_->optionletStrikes(i);
        const std::vector<Volatility>& optionletVolatilities = optionletStripper_->optionletVolatilities(i);
        // strikeInterpolations_[i] = QuantLib::ext::shared_ptr<SABRInterpolation>(new
        //            SABRInterpolation(optionletStrikes.begin(), optionletStrikes.end(),
        //                              optionletVolatilities.begin(),
        //                              optionletTimes[i], atmForward[i],
        //                              0.02,0.5,0.2,0.,
        //                              false, true, false, false
        //                              //alphaGuess_, betaGuess_,
        //                              //nuGuess_, rhoGuess_,
        //                              //isParameterFixed_[0],
        //                              //isParameterFixed_[1],
        //                              //isParameterFixed_[2],
        //                              //isParameterFixed_[3]
        //                              ////,
        //                              //vegaWeightedSmileFit_,
        //                              //endCriteria_,
        //                              //optMethod_
        //                              ));
        QuantLib::ext::shared_ptr<Interpolation> tmp = QuantLib::ext::shared_ptr<LinearInterpolation>(
            new LinearInterpolation(optionletStrikes.begin(), optionletStrikes.end(), optionletVolatilities.begin()));
        if (flatExtrapolation_)
            strikeInterpolations_[i] = QuantLib::ext::make_shared<FlatExtrapolation>(tmp);
        else
            strikeInterpolations_[i] = tmp;
 
        // QL_ENSURE(strikeInterpolations_[i]->endCriteria()!=EndCriteria::MaxIterations,
        //          "section calibration failed: "
        //          "option time " << optionletTimes[i] <<
        //          ": " <<
        //              ", alpha " <<  strikeInterpolations_[i]->alpha()<<
        //              ", beta "  <<  strikeInterpolations_[i]->beta() <<
        //              ", nu "    <<  strikeInterpolations_[i]->nu()   <<
        //              ", rho "   <<  strikeInterpolations_[i]->rho()  <<
        //              ", error " <<  strikeInterpolations_[i]->interpolationError()
        //              );
    }
}

optionletStripper()

QuantLib::ext::shared_ptr< QuantLib::OptionletStripper > optionletStripper

(

)

const

Definition at line 82 of file strippedoptionletadapter2.hpp.

                                                                                                           {
    return QuantLib::ext::dynamic_pointer_cast<QuantLib::OptionletStripper>(optionletStripper_);
}

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 137 of file strippedoptionletadapter2.cpp.

{ return optionletStripper_->volatilityType(); }

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displacement()

Real displacement ( ) const

override

Definition at line 139 of file strippedoptionletadapter2.cpp.

{ return optionletStripper_->displacement(); }

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smileSectionImpl()

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( QuantLib::Time  optionTime ) const

overrideprotected

Definition at line 44 of file strippedoptionletadapter2.cpp.

                                                                                            {
    std::vector<Rate> optionletStrikes =
        optionletStripper_->optionletStrikes(0); // strikes are the same for all times ?!
    std::vector<Real> stddevs;
    Real tEff = flatExtrapolation_ ? std::min(t, optionletStripper_->optionletFixingTimes().back()) : t;
    for (Size i = 0; i < optionletStrikes.size(); i++) {
        stddevs.push_back(volatilityImpl(tEff, optionletStrikes[i]) * std::sqrt(tEff));
    }
    // Use a linear interpolated smile section.
    // TODO: possibly make this configurable?
    if (flatExtrapolation_)
        return QuantLib::ext::make_shared<InterpolatedSmileSection<LinearFlat> >(t, optionletStrikes, stddevs, Null<Real>(),
                                                                         LinearFlat(), Actual365Fixed(),
                                                                         volatilityType(), displacement());
    else
        return QuantLib::ext::make_shared<InterpolatedSmileSection<Linear> >(
            t, optionletStrikes, stddevs, Null<Real>(), Linear(), Actual365Fixed(), volatilityType(), displacement());
}

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volatilityImpl()

Volatility volatilityImpl ( QuantLib::Time  length, QuantLib::Rate  strike  ) const

overrideprotected

Definition at line 63 of file strippedoptionletadapter2.cpp.

                                                                                   {
 
    calculate();
 
    vector<Volatility> vol(nInterpolations_);
    for (Size i = 0; i < nInterpolations_; ++i)
        vol[i] = strikeInterpolations_[i]->operator()(strike, true);
 
    vector<Time> optionletTimes = optionletStripper_->optionletFixingTimes();
    LinearInterpolation timeInterpolator(optionletTimes.begin(), optionletTimes.end(), vol.begin());
 
    // If flat extrapolation is turned on, extrapolate flat after last expiry _and_ before first expiry
    if (flatExtrapolation_) {
        length = max(min(length, optionletTimes.back()), optionletTimes.front());
    }
 
    return timeInterpolator(length, true);
}

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Member Data Documentation

optionletStripper_

const QuantLib::ext::shared_ptr<QuantLib::StrippedOptionletBase> optionletStripper_

private

Definition at line 70 of file strippedoptionletadapter2.hpp.

nInterpolations_

QuantLib::Size nInterpolations_

private

Definition at line 71 of file strippedoptionletadapter2.hpp.

strikeInterpolations_

std::vector<QuantLib::ext::shared_ptr<QuantLib::Interpolation> > strikeInterpolations_

mutableprivate

Definition at line 72 of file strippedoptionletadapter2.hpp.

flatExtrapolation_

const bool flatExtrapolation_

private

Definition at line 73 of file strippedoptionletadapter2.hpp.